| November 2008 | An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
with Jens H.E. Christensen, Glenn D. Rudebusch: w14463
|
| September 2008 | Real-Time Measurement of Business Conditions
with S. Boragan Aruoba, Chiara Scotti: w14349
|
| August 2008 | Macroeconomic Volatility and Stock Market Volatility, Worldwide
with Kamil Yilmaz: w14269
|
| February 2008 | Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
with Kamil Yilmaz: w13811
|
| November 2007 | The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
with Jens H. E. Christensen, Glenn D. Rudebusch: w13611
|
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
with Canlin Li, Vivian Z. Yue: w13588
|
| January 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter Christoffersen
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|
| November 2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Torben G. Andersen, Tim Bollerslev: w11775
|
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
with Sean D. Campbell: w11736
|
| May 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w11312
|
| March 2005 | Volatility Forecasting
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11188
|
| February 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Torben G. Andersen, Tim Bollerslev, Jin (Ginger) Wu: w11134
|
| January 2005 | Modeling Bond Yields in Finance and Macroeconomics
with Monika Piazzesi, Glenn Rudebusch: w11089
|
| Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen: w11069
|
| July 2004 | The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
with Glenn D. Rudebusch, S. Boragan Aruoba: w10616
|
| April 2004 | The Nobel Memorial Prize for Robert F. Engle
w10423
|
| December 2003 | Weather Forecasting for Weather Derivatives
with Sean D. Campbell: w10141
|
| October 2003 | Forecasting the Term Structure of Government Bond Yields
with Canlin Li: w10048
|
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
with Peter F. Christoffersen: w10009
|
| May 2003 | A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Michael W. Brandt: w9664
|
| August 2002 | Parametric and Nonparametric Volatility Measurement
with Torben G. Andersen, Tim Bollerslev: t0279
|
| May 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Torben G. Andersen, Tim Bollerslev, Clara Vega: w8959
|
| March 2001 | Modeling and Forecasting Realized Volatility
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w8160
|
| High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Michael W. Brandt: w8162
|
| November 2000 | Long Memory and Regime Switching
with Atsushi Inoue: t0264
|
| October 2000 | The Distribution of Stock Return Volatility
with Torben G. Andersen, Tim Bollerslev, Heiko Ebens: w7933
|
| January 2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Torben G. Andersen, Tim Bollerslev, Paul Labys: w7488
|
| February 1999 | Unit Root Tests Are Useful for Selecting Forecasting Models
with Lutz Kilian: w6928
|
| The Distribution of Exchange Rate Volatility
with Torben Andersen, Tim Bollerslev, Paul Labys: w6961
|
| December 1998 | How Relevant is Volatility Forecasting for Financial Risk Management?
with Peter F. Christoffersen: w6844
|
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
with Jinyong Hahn, Anthony S. Tay: w6845
|
| November 1997 | The Past, Present, and Future of Macroeconomic Forecasting
w6290
|
| October 1997 | Evaluating Density Forecasts
with Todd A. Gunther, Anthony S. Tay: t0215
|
| Cointegration and Long-Horizon Forecasting
with Peter F. Christoffersen: t0217
|
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
with Anthony S. Tay, Kenneth F. Wallis: w6228
|
| August 1997 | Measuring Predictability: Theory and Macroeconomic Applications
with Lutz Kilian: t0213
|
| April 1996 | Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
with Til Schuermann: t0194
|
| March 1996 | Forecast Evaluation and Combination
with Jose A. Lopez: t0192
|
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again
with Abdelhak S. Senhadji: w5481
|
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers
with Antulio N. Bomfim: w5482
|
| February 1995 | Measuring Volatility Dynamics
with Jose A. Lopez: t0173
|
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
with Lee E. Ohanian, Jeremy Berkowitz: t0174
|
| November 1994 | Comparing Predictive Accuracy
with Robert S. Mariano: t0169
|
| October 1994 | Optimal Prediction Under Asymmetric Loss
with Peter F. Christoffersen: t0167
|
| September 1994 | Job Stability in the United States
with David Neumark, Daniel Polsky: w4859
|
| February 1994 | Measuring Business Cycles: A Modern Perspective
with Glenn D. Rudebusch: w4643
|
| January 1993 | Further Evidence on Business-Cycle Duration Dependence
with Glenn Rudebusch, Daniel Sichel
in Business Cycles, Indicators and Forecasting, James H. Stock and Mark W. Watson, editors
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